Hello,
I am new to openBSD and want to use this OS as a firewall, within a firewall cluster. We have now 2 machines acting as a firewall which is not capable of doing the following:
active / active and load balancing.
I do have experience with Linux and Unix.
Can someone help me on how to set up a system with the features:
active /active firewall
Loadbalancing
Nat

There is no device called "lo". That is a device type, not a device. Loopback devices are lo0, lo1, etc. There is a device group "lo" however. Best practice is to use the lo0 device unless you have multiple loopback devices.

You did not include a dmesg, but if you had, you may not see the "em" devices you are attempting to configure.....as mentioned already.

I have never used any "builder" application, and cannot answer any questions about your input to one, out the output produced.

Thanx for the help, it was indeed the naming of the lo interface which was not correct.
The gui we are using is for other persons within my company, whom are not that familiar with command line innterfaces.

I know, but then again, I cannot handle all of our systems by my own. I am also curious if there isn't someone indeed using a gui for maintaining the firewalls. We are using FWBuilder, because of the Linux firewalls. But I have found out that the openBsd firewalls can do more than the Linux firewalls.
But is quite a study for something new.
I am still having trouble on how to use Fwbuilder with NAT.

By using UNIX command-line tools you will be able to manage all your firewalls by yourself: the unixverse encourages automation of roll-out, management and monitoring/auditing. All you need is time to study and to build up your experience